MVA (two roles). Work on the implementation of MVA (margin valuation adjustment) within the XVA library, to enhance calculations around the lifetime cost of initial margin within the context of the SIMM regulations. The XVA library is cross-asset, written in CUDA and C++. Previous experience of C++ development in a Front Office quantitative research role is required. Previous experience of XVA, CUDA, or SIMM is not a requirement, but would be beneficial.
PFE (one role). Work on the development of the PFE engine within the XVA library. The XVA library is cross-asset, written in CUDA and C++. Previous experience of C++ development in a Front Office quantitative research role is required. Previous experience of XVA and/or CUDA is not a requirement, but would be beneficial.
Contact: Mac Conamhna, Oisín
Position: Senior Quantitative Analyst
Position: Data Scientist Junior
Position: Data Scientist (Quant)
As a data scientist, you will be participating in the development of new products, as well as showcasing the value of our data for trading and investment purposes across various asset classes and time horizons. You will be reporting directly to the Chief Data Scientist and will interact with peers across various lines of business and technical teams to support projects that will span big data analysis and product development among others.
- Processing and analyzing large datasets to detect hidden signals and relationships
- Participating in the development of new products shaping the future of the financial industry
- Acquiring sophisticated knowledge of Big Data applications across various asset classes and trading horizons
- Interacting with fun and interesting colleagues
- A PhD/MSc in an applied science, e.g. Statistics, Physics, Mathematics, Signal Processing, Machine Learning, Econometrics etc.
- Experience working with large data sets, or noisy data would be an advantage
- Outstanding quantitative, analytical and problem solving skills, with the ability to develop original research
- An enthusiastic and collaborative approach to research and the desire to work with colleagues as smart as you are
- The ability to communicate effectively in English, both in writing and verbally is a must. Knowledge of Spanish is not a business requirement.
- European Union legal working status is required.